880 lines
26 KiB
Python
880 lines
26 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Real-time display tasks for charting / graphics.
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'''
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from contextlib import asynccontextmanager
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import time
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from typing import Any
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from types import ModuleType
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import numpy as np
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from pydantic import BaseModel
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import tractor
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import trio
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from .. import brokers
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from ..data.feed import (
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open_feed,
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# Feed,
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)
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from ._chart import (
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ChartPlotWidget,
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LinkedSplits,
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GodWidget,
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)
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from .. import fsp
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from ._l1 import L1Labels
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from ..data._sharedmem import ShmArray, maybe_open_shm_array
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from ._forms import (
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FieldsForm,
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mk_form,
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mk_order_pane_layout,
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open_form_input_handling,
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)
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from .order_mode import open_order_mode
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from ..log import get_logger
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log = get_logger(__name__)
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_clear_throttle_rate: int = 58 # Hz
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_book_throttle_rate: int = 16 # Hz
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async def chart_from_quotes(
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chart: ChartPlotWidget,
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stream: tractor.MsgStream,
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ohlcv: np.ndarray,
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wap_in_history: bool = False,
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) -> None:
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'''The 'main' (price) chart real-time update loop.
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Receive from the quote stream and update the OHLC chart.
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'''
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# TODO: bunch of stuff:
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# - I'm starting to think all this logic should be
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# done in one place and "graphics update routines"
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# should not be doing any length checking and array diffing.
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# - handle odd lot orders
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# - update last open price correctly instead
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# of copying it from last bar's close
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# - 5 sec bar lookback-autocorrection like tws does?
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# update last price sticky
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last_price_sticky = chart._ysticks[chart.name]
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last_price_sticky.update_from_data(
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*ohlcv.array[-1][['index', 'close']]
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)
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def maxmin():
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# TODO: implement this
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# https://arxiv.org/abs/cs/0610046
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# https://github.com/lemire/pythonmaxmin
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array = chart._arrays['ohlc']
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ifirst = array[0]['index']
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last_bars_range = chart.bars_range()
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l, lbar, rbar, r = last_bars_range
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in_view = array[lbar - ifirst:rbar - ifirst]
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assert in_view.size
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mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
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# TODO: when we start using line charts, probably want to make
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# this an overloaded call on our `DataView
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# sym = chart.name
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# mx, mn = np.nanmax(in_view[sym]), np.nanmin(in_view[sym])
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return last_bars_range, mx, max(mn, 0)
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chart.default_view()
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last_bars_range, last_mx, last_mn = maxmin()
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last, volume = ohlcv.array[-1][['close', 'volume']]
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symbol = chart.linked.symbol
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l1 = L1Labels(
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chart,
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# determine precision/decimal lengths
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digits=symbol.tick_size_digits,
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size_digits=symbol.lot_size_digits,
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)
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chart._l1_labels = l1
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# TODO:
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# - in theory we should be able to read buffer data faster
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# then msgs arrive.. needs some tinkering and testing
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# - if trade volume jumps above / below prior L1 price
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# levels this might be dark volume we need to
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# present differently?
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tick_size = chart.linked.symbol.tick_size
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tick_margin = 2 * tick_size
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last_ask = last_bid = last_clear = time.time()
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chart.show()
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async for quotes in stream:
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# chart isn't actively shown so just skip render cycle
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if chart.linked.isHidden():
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await chart.pause_all_feeds()
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continue
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for sym, quote in quotes.items():
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now = time.time()
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for tick in quote.get('ticks', ()):
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# print(f"CHART: {quote['symbol']}: {tick}")
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ticktype = tick.get('type')
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price = tick.get('price')
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size = tick.get('size')
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if ticktype == 'n/a' or price == -1:
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# okkk..
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continue
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# clearing price event
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if ticktype in ('trade', 'utrade', 'last'):
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# throttle clearing price updates to ~ max 60 FPS
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period = now - last_clear
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if period <= 1/_clear_throttle_rate:
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# faster then display refresh rate
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continue
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# print(f'passthrough {tick}\n{1/(now-last_clear)}')
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# set time of last graphics update
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last_clear = now
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array = ohlcv.array
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# update price sticky(s)
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end = array[-1]
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last_price_sticky.update_from_data(
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*end[['index', 'close']]
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)
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# plot bars
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# update price bar
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chart.update_ohlc_from_array(
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chart.name,
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array,
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)
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if wap_in_history:
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# update vwap overlay line
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chart.update_curve_from_array('bar_wap', ohlcv.array)
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# l1 book events
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# throttle the book graphics updates at a lower rate
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# since they aren't as critical for a manual user
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# viewing the chart
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elif ticktype in ('ask', 'asize'):
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if (now - last_ask) <= 1/_book_throttle_rate:
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# print(f'skipping\n{tick}')
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continue
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# print(f'passthrough {tick}\n{1/(now-last_ask)}')
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last_ask = now
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elif ticktype in ('bid', 'bsize'):
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if (now - last_bid) <= 1/_book_throttle_rate:
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continue
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# print(f'passthrough {tick}\n{1/(now-last_bid)}')
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last_bid = now
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# compute max and min trade values to display in view
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# TODO: we need a streaming minmax algorithm here, see
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# def above.
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brange, mx_in_view, mn_in_view = maxmin()
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l, lbar, rbar, r = brange
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mx = mx_in_view + tick_margin
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mn = mn_in_view - tick_margin
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# XXX: prettty sure this is correct?
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# if ticktype in ('trade', 'last'):
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if ticktype in ('last',): # 'size'):
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label = {
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l1.ask_label.fields['level']: l1.ask_label,
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l1.bid_label.fields['level']: l1.bid_label,
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}.get(price)
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if label is not None:
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label.update_fields({'level': price, 'size': size})
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# on trades should we be knocking down
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# the relevant L1 queue?
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# label.size -= size
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elif ticktype in ('ask', 'asize'):
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l1.ask_label.update_fields({'level': price, 'size': size})
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elif ticktype in ('bid', 'bsize'):
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l1.bid_label.update_fields({'level': price, 'size': size})
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# update min price in view to keep bid on screen
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mn = min(price - tick_margin, mn)
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# update max price in view to keep ask on screen
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mx = max(price + tick_margin, mx)
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if (mx > last_mx) or (
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mn < last_mn
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):
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# print(f'new y range: {(mn, mx)}')
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chart._set_yrange(
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yrange=(mn, mx),
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# TODO: we should probably scale
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# the view margin based on the size
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# of the true range? This way you can
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# slap in orders outside the current
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# L1 (only) book range.
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# range_margin=0.1,
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)
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last_mx, last_mn = mx, mn
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async def fan_out_spawn_fsp_daemons(
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linkedsplits: LinkedSplits,
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fsps: dict[str, str],
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sym: str,
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src_shm: list,
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brokermod: ModuleType,
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group_status_key: str,
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loglevel: str,
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) -> None:
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'''Create financial signal processing sub-actors (under flat tree)
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for each entry in config and attach to local graphics update tasks.
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Pass target entrypoint and historical data.
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'''
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linkedsplits.focus()
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uid = tractor.current_actor().uid
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# spawns sub-processes which execute cpu bound FSP code
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async with (
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tractor.open_nursery() as n,
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trio.open_nursery() as ln,
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):
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# Currently we spawn an actor per fsp chain but
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# likely we'll want to pool them eventually to
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# scale horizonatlly once cores are used up.
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for display_name, conf in fsps.items():
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fsp_func_name = conf['fsp_func_name']
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# TODO: load function here and introspect
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# return stream type(s)
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# TODO: should `index` be a required internal field?
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fsp_dtype = np.dtype([('index', int), (fsp_func_name, float)])
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key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
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# this is all sync currently
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shm, opened = maybe_open_shm_array(
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key,
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# TODO: create entry for each time frame
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dtype=fsp_dtype,
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readonly=True,
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)
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# XXX: fsp may have been opened by a duplicate chart.
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# Error for now until we figure out how to wrap fsps as
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# "feeds". assert opened, f"A chart for {key} likely
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# already exists?"
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conf['shm'] = shm
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portal = await n.start_actor(
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enable_modules=['piker.fsp._engine'],
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name='fsp.' + display_name,
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)
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# init async
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ln.start_soon(
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run_fsp,
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portal,
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linkedsplits,
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brokermod,
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sym,
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src_shm,
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fsp_func_name,
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display_name,
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conf,
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group_status_key,
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loglevel,
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)
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# blocks here until all fsp actors complete
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class FspConfig(BaseModel):
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class Config:
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validate_assignment = True
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name: str
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period: int
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@asynccontextmanager
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async def open_sidepane(
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linked: LinkedSplits,
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display_name: str,
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) -> FspConfig:
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sidepane: FieldsForm = mk_form(
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parent=linked.godwidget,
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fields_schema={
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'name': {
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'label': '**fsp**:',
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'type': 'select',
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'default_value': [
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f'{display_name}'
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],
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},
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# TODO: generate this from input map
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'period': {
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'label': '**period**:',
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'type': 'edit',
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'default_value': 14,
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},
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},
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)
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sidepane.model = FspConfig(
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name=display_name,
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period=14,
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)
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# just a logger for now until we get fsp configs up and running.
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async def settings_change(key: str, value: str) -> bool:
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print(f'{key}: {value}')
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return True
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# TODO:
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async with (
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open_form_input_handling(
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sidepane,
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focus_next=linked.godwidget,
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on_value_change=settings_change,
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)
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):
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yield sidepane
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async def run_fsp(
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portal: tractor._portal.Portal,
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linkedsplits: LinkedSplits,
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brokermod: ModuleType,
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sym: str,
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src_shm: ShmArray,
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fsp_func_name: str,
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display_name: str,
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conf: dict[str, Any],
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group_status_key: str,
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loglevel: str,
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) -> None:
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'''FSP stream chart update loop.
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This is called once for each entry in the fsp
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config map.
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'''
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done = linkedsplits.window().status_bar.open_status(
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f'loading fsp, {display_name}..',
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group_key=group_status_key,
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)
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async with (
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portal.open_context(
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# chaining entrypoint
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fsp.cascade,
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# name as title of sub-chart
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brokername=brokermod.name,
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src_shm_token=src_shm.token,
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dst_shm_token=conf['shm'].token,
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symbol=sym,
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func_name=fsp_func_name,
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loglevel=loglevel,
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) as (ctx, last_index),
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ctx.open_stream() as stream,
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open_sidepane(
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linkedsplits,
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display_name,
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) as sidepane,
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):
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shm = conf['shm']
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if conf.get('overlay'):
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chart = linkedsplits.chart
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chart.draw_curve(
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name='vwap',
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data=shm.array,
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overlay=True,
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)
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last_val_sticky = None
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else:
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chart = linkedsplits.add_plot(
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name=display_name,
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array=shm.array,
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array_key=conf['fsp_func_name'],
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sidepane=sidepane,
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# curve by default
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ohlc=False,
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# settings passed down to ``ChartPlotWidget``
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**conf.get('chart_kwargs', {})
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# static_yrange=(0, 100),
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)
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# XXX: ONLY for sub-chart fsps, overlays have their
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# data looked up from the chart's internal array set.
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# TODO: we must get a data view api going STAT!!
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chart._shm = shm
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# should **not** be the same sub-chart widget
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assert chart.name != linkedsplits.chart.name
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# sticky only on sub-charts atm
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last_val_sticky = chart._ysticks[chart.name]
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# read from last calculated value
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array = shm.array
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# XXX: fsp func names must be unique meaning we don't have
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# duplicates of the underlying data even if multiple
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# sub-charts reference it under different 'named charts'.
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value = array[fsp_func_name][-1]
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last_val_sticky.update_from_data(-1, value)
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chart.linked.focus()
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# works also for overlays in which case data is looked up from
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# internal chart array set....
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chart.update_curve_from_array(
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display_name,
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shm.array,
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array_key=fsp_func_name
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)
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chart.linked.resize_sidepanes()
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# TODO: figure out if we can roll our own `FillToThreshold` to
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# get brush filled polygons for OS/OB conditions.
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# ``pg.FillBetweenItems`` seems to be one technique using
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# generic fills between curve types while ``PlotCurveItem`` has
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# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
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# might be the best solution?
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# graphics = chart.update_from_array(chart.name, array[fsp_func_name])
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# graphics.curve.setBrush(50, 50, 200, 100)
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# graphics.curve.setFillLevel(50)
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if fsp_func_name == 'rsi':
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from ._lines import level_line
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# add moveable over-[sold/bought] lines
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# and labels only for the 70/30 lines
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level_line(chart, 20)
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level_line(chart, 30, orient_v='top')
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level_line(chart, 70, orient_v='bottom')
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level_line(chart, 80, orient_v='top')
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chart._set_yrange()
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last = time.time()
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done()
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# i = 0
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# update chart graphics
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async for value in stream:
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# chart isn't actively shown so just skip render cycle
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if chart.linked.isHidden():
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# print(f'{i} unseen fsp cyclce')
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# i += 1
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continue
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now = time.time()
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period = now - last
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# if period <= 1/30:
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if period <= 1/_clear_throttle_rate:
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# faster then display refresh rate
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# print(f'fsp too fast: {1/period}')
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continue
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# TODO: provide a read sync mechanism to avoid this polling.
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# the underlying issue is that a backfill and subsequent shm
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# array first/last index update could result in an empty array
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# read here since the stream is never torn down on the
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# re-compute steps.
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read_tries = 2
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while read_tries > 0:
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try:
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# read last
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array = shm.array
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value = array[-1][fsp_func_name]
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break
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except IndexError:
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read_tries -= 1
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continue
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if last_val_sticky:
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last_val_sticky.update_from_data(-1, value)
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# update graphics
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chart.update_curve_from_array(
|
|
display_name,
|
|
array,
|
|
array_key=fsp_func_name,
|
|
)
|
|
|
|
# set time of last graphics update
|
|
last = time.time()
|
|
|
|
|
|
async def check_for_new_bars(feed, ohlcv, linkedsplits):
|
|
"""Task which updates from new bars in the shared ohlcv buffer every
|
|
``delay_s`` seconds.
|
|
|
|
"""
|
|
# TODO: right now we'll spin printing bars if the last time
|
|
# stamp is before a large period of no market activity.
|
|
# Likely the best way to solve this is to make this task
|
|
# aware of the instrument's tradable hours?
|
|
|
|
price_chart = linkedsplits.chart
|
|
price_chart.default_view()
|
|
|
|
async with feed.index_stream() as stream:
|
|
async for index in stream:
|
|
# update chart historical bars graphics by incrementing
|
|
# a time step and drawing the history and new bar
|
|
|
|
# When appending a new bar, in the time between the insert
|
|
# from the writing process and the Qt render call, here,
|
|
# the index of the shm buffer may be incremented and the
|
|
# (render) call here might read the new flat bar appended
|
|
# to the buffer (since -1 index read). In that case H==L and the
|
|
# body will be set as None (not drawn) on what this render call
|
|
# *thinks* is the curent bar (even though it's reading data from
|
|
# the newly inserted flat bar.
|
|
#
|
|
# HACK: We need to therefore write only the history (not the
|
|
# current bar) and then either write the current bar manually
|
|
# or place a cursor for visual cue of the current time step.
|
|
|
|
# XXX: this puts a flat bar on the current time step
|
|
# TODO: if we eventually have an x-axis time-step "cursor"
|
|
# we can get rid of this since it is extra overhead.
|
|
price_chart.update_ohlc_from_array(
|
|
price_chart.name,
|
|
ohlcv.array,
|
|
just_history=False,
|
|
)
|
|
|
|
for name in price_chart._overlays:
|
|
|
|
price_chart.update_curve_from_array(
|
|
name,
|
|
price_chart._arrays[name]
|
|
)
|
|
|
|
for name, chart in linkedsplits.subplots.items():
|
|
chart.update_curve_from_array(
|
|
chart.name,
|
|
chart._shm.array,
|
|
array_key=chart.data_key
|
|
)
|
|
|
|
# shift the view if in follow mode
|
|
price_chart.increment_view()
|
|
|
|
|
|
def has_vlm(ohlcv: ShmArray) -> bool:
|
|
# make sure that the instrument supports volume history
|
|
# (sometimes this is not the case for some commodities and
|
|
# derivatives)
|
|
volm = ohlcv.array['volume']
|
|
return not bool(np.all(np.isin(volm, -1)) or np.all(np.isnan(volm)))
|
|
|
|
|
|
@asynccontextmanager
|
|
async def maybe_open_vlm_display(
|
|
|
|
linked: LinkedSplits,
|
|
ohlcv: ShmArray,
|
|
|
|
) -> ChartPlotWidget:
|
|
|
|
# make sure that the instrument supports volume history
|
|
# (sometimes this is not the case for some commodities and
|
|
# derivatives)
|
|
# volm = ohlcv.array['volume']
|
|
# if (
|
|
# np.all(np.isin(volm, -1)) or
|
|
# np.all(np.isnan(volm))
|
|
# ):
|
|
if not has_vlm(ohlcv):
|
|
log.warning(f"{linked.symbol.key} does not seem to have volume info")
|
|
else:
|
|
async with open_sidepane(linked, 'volume') as sidepane:
|
|
# built-in $vlm
|
|
shm = ohlcv
|
|
chart = linked.add_plot(
|
|
name='vlm',
|
|
array=shm.array,
|
|
|
|
array_key='volume',
|
|
sidepane=sidepane,
|
|
|
|
# curve by default
|
|
ohlc=False,
|
|
|
|
# vertical bars
|
|
# stepMode=True,
|
|
# static_yrange=(0, 100),
|
|
)
|
|
|
|
# XXX: ONLY for sub-chart fsps, overlays have their
|
|
# data looked up from the chart's internal array set.
|
|
# TODO: we must get a data view api going STAT!!
|
|
chart._shm = shm
|
|
|
|
# should **not** be the same sub-chart widget
|
|
assert chart.name != linked.chart.name
|
|
|
|
# sticky only on sub-charts atm
|
|
last_val_sticky = chart._ysticks[chart.name]
|
|
|
|
# read from last calculated value
|
|
value = shm.array['volume'][-1]
|
|
|
|
last_val_sticky.update_from_data(-1, value)
|
|
|
|
# size view to data once at outset
|
|
chart._set_yrange()
|
|
|
|
yield chart
|
|
|
|
|
|
async def display_symbol_data(
|
|
|
|
godwidget: GodWidget,
|
|
provider: str,
|
|
sym: str,
|
|
loglevel: str,
|
|
|
|
order_mode_started: trio.Event,
|
|
|
|
) -> None:
|
|
'''Spawn a real-time updated chart for ``symbol``.
|
|
|
|
Spawned ``LinkedSplits`` chart widgets can remain up but hidden so
|
|
that multiple symbols can be viewed and switched between extremely
|
|
fast from a cached watch-list.
|
|
|
|
'''
|
|
sbar = godwidget.window.status_bar
|
|
loading_sym_key = sbar.open_status(
|
|
f'loading {sym}.{provider} ->',
|
|
group_key=True
|
|
)
|
|
|
|
# historical data fetch
|
|
brokermod = brokers.get_brokermod(provider)
|
|
|
|
# ohlc_status_done = sbar.open_status(
|
|
# 'retreiving OHLC history.. ',
|
|
# clear_on_next=True,
|
|
# group_key=loading_sym_key,
|
|
# )
|
|
|
|
async with(
|
|
open_feed(
|
|
provider,
|
|
[sym],
|
|
loglevel=loglevel,
|
|
|
|
# 60 FPS to limit context switches
|
|
tick_throttle=_clear_throttle_rate,
|
|
|
|
) as feed,
|
|
):
|
|
|
|
ohlcv: ShmArray = feed.shm
|
|
bars = ohlcv.array
|
|
symbol = feed.symbols[sym]
|
|
|
|
# load in symbol's ohlc data
|
|
godwidget.window.setWindowTitle(
|
|
f'{symbol.key}@{symbol.brokers} '
|
|
f'tick:{symbol.tick_size}'
|
|
)
|
|
|
|
linkedsplits = godwidget.linkedsplits
|
|
linkedsplits._symbol = symbol
|
|
|
|
# generate order mode side-pane UI
|
|
# A ``FieldsForm`` form to configure order entry
|
|
pp_pane: FieldsForm = mk_order_pane_layout(godwidget)
|
|
|
|
# add as next-to-y-axis singleton pane
|
|
godwidget.pp_pane = pp_pane
|
|
|
|
# create main OHLC chart
|
|
chart = linkedsplits.plot_ohlc_main(
|
|
symbol,
|
|
bars,
|
|
sidepane=pp_pane,
|
|
)
|
|
chart._feeds[symbol.key] = feed
|
|
chart.setFocus()
|
|
|
|
# plot historical vwap if available
|
|
wap_in_history = False
|
|
|
|
if brokermod._show_wap_in_history:
|
|
|
|
if 'bar_wap' in bars.dtype.fields:
|
|
wap_in_history = True
|
|
chart.draw_curve(
|
|
name='bar_wap',
|
|
data=bars,
|
|
add_label=False,
|
|
)
|
|
|
|
# size view to data once at outset
|
|
chart._set_yrange()
|
|
|
|
# TODO: a data view api that makes this less shit
|
|
chart._shm = ohlcv
|
|
|
|
# TODO: eventually we'll support some kind of n-compose syntax
|
|
fsp_conf = {
|
|
'rsi': {
|
|
'fsp_func_name': 'rsi',
|
|
'period': 14,
|
|
'chart_kwargs': {
|
|
'static_yrange': (0, 100),
|
|
},
|
|
},
|
|
# # test for duplicate fsps on same chart
|
|
# 'rsi2': {
|
|
# 'fsp_func_name': 'rsi',
|
|
# 'period': 14,
|
|
# 'chart_kwargs': {
|
|
# 'static_yrange': (0, 100),
|
|
# },
|
|
# },
|
|
|
|
}
|
|
|
|
if has_vlm(ohlcv):
|
|
# add VWAP to fsp config for downstream loading
|
|
fsp_conf.update({
|
|
'vwap': {
|
|
'fsp_func_name': 'vwap',
|
|
'overlay': True,
|
|
'anchor': 'session',
|
|
},
|
|
})
|
|
|
|
async with (
|
|
|
|
trio.open_nursery() as ln,
|
|
):
|
|
# load initial fsp chain (otherwise known as "indicators")
|
|
ln.start_soon(
|
|
fan_out_spawn_fsp_daemons,
|
|
linkedsplits,
|
|
fsp_conf,
|
|
sym,
|
|
ohlcv,
|
|
brokermod,
|
|
loading_sym_key,
|
|
loglevel,
|
|
)
|
|
|
|
# start graphics update loop(s)after receiving first live quote
|
|
ln.start_soon(
|
|
chart_from_quotes,
|
|
chart,
|
|
feed.stream,
|
|
ohlcv,
|
|
wap_in_history,
|
|
)
|
|
|
|
ln.start_soon(
|
|
check_for_new_bars,
|
|
feed,
|
|
ohlcv,
|
|
linkedsplits
|
|
)
|
|
|
|
async with (
|
|
# XXX: this slipped in during a commits refacotr,
|
|
# it's actually landing proper in #231
|
|
# maybe_open_vlm_display(linkedsplits, ohlcv),
|
|
|
|
open_order_mode(
|
|
feed,
|
|
chart,
|
|
symbol,
|
|
provider,
|
|
order_mode_started
|
|
)
|
|
):
|
|
await trio.sleep_forever()
|